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In the Carr–Madan formula, Peter Carr and Dilip B. Madan show that the analytical solution of the European option price can be obtained once the explicit form of the characteristic function of , where is the price of the underlying asset at time , is available.[1]
Notes and references
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- ↑ Carr, P., and Madan, D. (1999). "Option valuation using the fast Fourier transform." The Journal of Computational Finance 2(4), 61–73.